Cool, EDGAR is an amazing public service. I think they use Akamai as their CDN so the downloads are remarkably fast.
A few years ago I wrote an SGML parser for the full SEC PDS specification (super tedious). But I have trouble leveraging my own efforts for independent research because I don't have a reliable securities master to link against. I can't take a historical CUSIP from 13F filings and associate it to a historical ticker/return. Or my returns are wrong because of data errors so I can't fit a factor model to run an event study using Form 4 data.
I think what's missing is a serious open source effort to integrate/cleanse the various cheapo data vendors into something reasonably approximating the quality you get out of a CRSP/Compustat.
A few years ago I wrote an SGML parser for the full SEC PDS specification (super tedious). But I have trouble leveraging my own efforts for independent research because I don't have a reliable securities master to link against. I can't take a historical CUSIP from 13F filings and associate it to a historical ticker/return. Or my returns are wrong because of data errors so I can't fit a factor model to run an event study using Form 4 data.
I think what's missing is a serious open source effort to integrate/cleanse the various cheapo data vendors into something reasonably approximating the quality you get out of a CRSP/Compustat.